TY  - JOUR
TI  - Further evidence on efficiency of Bahrain Bourse: A high challenge for other industries
AU  - Iqbal, Thonse Hawaldar
AU  - Birau, Ramona
AU  - Spulbar, Cristi
AU  - Rohit, Babitha
AU  - Pinto, Prakash
AU  - Rajesha, Thekkekutt Mathukutti
AU  - Sciorio, Fabrizio Di
T2  - Industria Textila
AB  - The purpose of the present study is to provide further evidence of the weak form efficiency of the Bahrain Bourse. The
research methodology is based on daily closing index values of the Bahrain Bourse from 2011 to 2015 in order to test
the efficiency of the stock market while runs test, Autocorrelation Function, and advance tools such as ARCH and
GARCH models and Hurst Index to provide further evidence of the weak form efficiency of the Bahrain stock market.
For instance, a volatile and inefficient stock market has a negative impact on textile and apparel industry in the Kingdom
of Bahrain, which is one of the most prosperous and attractive industries in the country. The empirical results revealed
that Bahrain stock market does not follow normal distribution and the successive price changes are not independent.
Further, ARCH effect is significant and indicative of a time-varying conditional volatility. There is an arbitrage opportunity
and extreme mispricing in the Bahrain stock market as indicated by the GARCH (1,1) model. The results of the Hurst
exponent also confirm the inefficiency of the market. The results of these tests are consistent indicating that the Bahrain
stock market is inefficient
DA  - 2020/10/28/
PY  - 2020
DO  - 10.35530/IT.071.05.1732
DP  - DOI.org (Crossref)
VL  - 71
IS  - 05
SP  - 458
EP  - 466
SN  - 12225347
ST  - Further evidence on efficiency of Bahrain Bourse
UR  - http://revistaindustriatextila.ro/images/2020/5/008%20THONSE%20HAWALDAR%20IQBAL_Industria%20Textila%205_2020.pdf
Y2  - 2020/10/30/14:44:54
ER  -